Stochastics, Statistics, Financial Mathematics 13-15 October, 2014, Steklov Mathematical Institute, Moscow Conference Program

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Stochastics, Statistics, Financial Mathematics 13-15 October, 2014, Steklov Mathematical Institute, Moscow Conference Program Monday, 13 October 9:30 { 10:00 Opening (Valeriy Kozlov, Yuri Kabanov) 10:00 { 10:40 Jean Jacod: Limit theorems for stochastic processes: some advances during the past ten years 10:45 { 11:25 Yuri Kabanov: Absolute continuity of measures, the Girsanov theorem, and Hellinger processes 11:30 { 11:45 Coffee break 11:45 { 12:25 Martin Schweizer: A new approach for stochastic Fubini theorems 12:30 { 13:10 Alexander Zvonkin: Gaussian measures on the space of matrcies and map enumeration 13:15 { 14:30 Lunch 14:30 { 15:10 Vladimir Spokoiny: From lambda-convergence to Fisher and Wilks expansions 15:15 { 15:55 Alexander Bulinski: Generalizations of the multifactor dimensionality reduction method 16:00 { 16:40 Jordan Stoyanov: Transformations of random variables and processes and their moment determinacy 16:45 { 17:00 Coffee break 17:00 { 17:40 Anna Obizhaeva: Market microstructure invariance 17:45 { 18:25 Pavel Katyshev: Transmission of information over channels with feedback and fil- tration theory Tuesday, 14 October 10:00 { 10:40 Hans-Juergen Engelbert: Stochastic differential equations for sticky reflecting Brow- nian motion 10:45 { 11:25 Hans Föllmer: Another look at Itô'sformula 11:30 { 11:45 Coffee break 11:45 { 12:25 Marek Musiela: TBA 12:30 { 13:10 Goran Peskir: Optimal mean-variance portfolio selection 13:15 { 14:30 Lunch 14:30 { 15:10 Alexander Novikov: First passage time problems: martingale approach revised 15:15 { 15:55 Mikhail Urusov: A generalized Donsker's theorem and approximating SDEs with irregular coefficients 16:00 { 16:40 Alexander Gushchin: On the inequalities connecting Hellinger processes and some statistical distances 16:45 { 17:00 Coffee break 17:00 { 17:30 Igor Pavlov: Interpolation properties of martingale measures and Haar interpola- tions of (B; S)-markets 17:35 { 18:05 Vadim Malyshev, A. Lykov: Stochastics in non-equilibrium statistical physics and econophysics 18:10 { 18:40 Alexey Muravlev: Sequential testing problem of two hypotheses for a fractional Brownian motion Wednesday, 15 October 10:00 { 10:40 Alexander Holevo: The classical capacities of quantum communication channels 10:45 { 11:25 Leonid Galtchouk: On asymptotic normality of sequential LS-estimates for unstable autoregressive processes AR(p) 11:30 { 11:45 Coffee break 11:45 { 12:25 Raphael Douady: On \downfalls" in a standard Brownian motion 12:30 { 13:10 Michael Grabchak: Properties of tempered stable distributions 13:15 { 14:30 Lunch 14:30 { 15:10 Lioudmila Vostrikova: How to price and hedge change-point models? 15:15 { 15:45 Elena Boguslavskaya: On solving optimal stopping problems for Levy processes via A-transform 15:50 { 16:20 Mikhail Zhitlukhin: Optimal stopping problems with unbounded payoffs 16:20 { 16:30 Closing (Albert Shiryaev) 16:30 { 19:30 Dinner.

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[Math.PR] 9 Dec 2004
On local martingale and its supremum: harmonic functions and beyond. Dedicated to Professor A.N. Shiryaev for his 70th birthday Jan Ob lój1,2 and Marc Yor1 1 Laboratoire de Probabilités et Modèles Aléatoires, UniversitéParis 6, 4 pl. Jussieu, Boîte 188, 75252 Paris Cedex 05, France 2 Wydzia lMatematyki, Uniwersytet Warszawski Banacha 2, 02-097 Warszawa, Poland email: [email protected] Version du 8 Décembre 2004 We discuss certain facts involving a continuous local martingale N and its supre- mum N. A complete characterization of (N, N)-harmonic functions is proposed. This yields an important family of martingales, the usefulness of which is demonstrated, by means of examples involving the Skorokhod embedding problem, bounds on the law of the supremum, or the local time at 0, of a martingale with a fixed terminal distribution, or yet in some Brownian penalization problems. In particular we obtain new bounds on the law of the local time at 0, which involve the excess wealth order. Key words: continuous local martingale, supremum process, harmonic function, Skorokhod’s embedding problem, excess wealth order. Mathematics Subject Classification (2000): 60G44 (Primary), 60G42, 60G40, 60E15 arXiv:math/0412196v1 [math.PR] 9 Dec 2004 2 Jan Ob lój and Marc Yor Dedication. The first time I met Prof. A. Shiryaev was in January 1977, during a meeting dedicated to Control and Filtering theories, in Bonn. This was a time when meeting a Soviet mathematician was some event! Among the participants to that meeting, were, apart from A. Shiryaev, Prof. B. Grige- lionis, and M.
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